Estimating the Taylor rule in the time-frequency domain

We present the first assessment of U.S. monetary policy across time and frequencies within the Taylor Rule framework. We derive a novel wavelet tool - the partial wavelet gain - to estimate a parametric equation relating the federal funds rate to inflation and the output gap. We detect a gradual shi...

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Bibliographic Details
Main Author: Aguiar-Conraria, Luís (author)
Other Authors: Martins, Manuel M. F. (author), Soares, M. J. (author)
Format: article
Language:eng
Published: 2018
Subjects:
Monetary policy
Taylor rule
Partial wavelet gain
Time-frequency estimation
Continuous wavelet transform
Social Sciences
Online Access:http://hdl.handle.net/1822/72646
Country:Portugal
Oai:oai:repositorium.sdum.uminho.pt:1822/72646

Internet

http://hdl.handle.net/1822/72646

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